A note on the Euler–Maruyama scheme for stochastic differential equations with a discontinuous monotone drift coefficient

By N. Halidias, Peter E. Kloeden. 2008

58 citations recorded by the source corpus.

Subfields: Demography, Finance

View Paper: https://www.semanticscholar.org/paper/806f4e03a40a6f2c56a166f2dee5952dbe649e06

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In Demography

1. Daichi Taguchi
2. Hoang-Long Ngo
3. Gunther Leobacher
4. Andreas Neuenkirch
5. Michaela Szolgyenyi

In Finance

1. Hoang-Long Ngo
2. Daichi Taguchi
3. Andreas Neuenkirch
4. Michaela Szolgyenyi
5. Gunther Leobacher
6. Larisa Yaroslavtseva
7. Thomas Muller-Gronbach
8. Ivan Nourdin

Citations in the corpus

• On the performance of the Euler–Maruyama scheme for SDEs with discontinuous drift coefficient (2018, unknown): “Numerical approximation of SDEs with a drift coefficient that is discontinuous in space has gained a lot of interest in recent years, see [4, 5] for results on convergence in probability and almost sure convergence of the Euler-Maruyama scheme and [3, 7, 14, 15, 16, 23, 24, 25, 26] for results on Lp”
• The Euler–Maruyama scheme for SDEs with irregular drift: convergence rates via reduction to a quadrature problem (2019, methodology): “The error analysis of EM-type schemes for SDEs with discontinuous drift coefficient has become – after two pioneering articles by Gyöngy [4] and Halidias and Kloeden [5] – a topic of growing interest in the recent years, see e.”
• A numerical method for SDEs with discontinuous drift (2015, background): “Halidias andKloeden [6] show that the Euler–Maruyama scheme converges strongly in case of a discontinuous monotone drift coefficient, e.”
• On the Euler-Maruyama approximation for one-dimensional stochastic differential equations with irregular coefficients (2015, methodology): “[15] Halidias, N. and Kloeden, P.E.: A note on the Euler-Maruyama scheme for stochastic differential equations with a discontinuous monotone drift coefficient.”
• Strong convergence for the Euler-Maruyama approximation of stochastic differential equations with discontinuous coefficients (2016, unknown): “In [8], the strong convergence of EM scheme is shown for SDEs with discontinuous monotone drift coefficients.”